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Rolling Windows / Regressions / Predictions
2 messages · Bryan Lim, Peter Carl
On Mon, 2008-03-17 at 14:37 -0700, Bryan Lim wrote:
i'm basically trying to solve for excess returns (ie, ALPHA) based on rolling betas.
Take a look at the PerformanceAnalytics package to see if it does what you're looking for: http://braverock.com/brian/R/PerformanceAnalytics/html/PerformanceAnalytics-package.html It's available on CRAN and can be installed using install.packages(). The function chart.RollingRegression displays the coefficients of a linear model fitted over rolling periods. I'd be happy to confer with you about adding n-step ahead predictions. pcc
Peter Carl <peter at braverock.com> http://www.braverock.com/~peter